A note on a class of delayed renewal risk processes

DOI10.1016/j.insmatheco.2003.12.005zbMath1114.60068OpenAlexW2014563608MaRDI QIDQ868319

Gordon E. Willmot

Publication date: 2 March 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.12.005

zbMATH Keywords

ruin probabilityGerber-Shiu functionrenewal risk processes

Mathematics Subject Classification ID

Related Items (17)

On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Plug-in estimators for the mean value and variance functions in delayed renewal processes ⋮ The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the analysis of ruin-related quantities in the delayed renewal risk model ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy ⋮ On the total operating costs up to default in a renewal risk model ⋮ On a class of renewal risk model with random income ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ Some Remarks on Delayed Renewal Risk Models ⋮ A class of delayed renewal risk processes with a threshold dividend strategy ⋮ The proper distribution function of the deficit in the delayed renewal risk model ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ A unifying approach to the analysis of business with random gains

Cites Work

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• Aspects of risk theory
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Compound geometric residual lifetime distributions and the deficit at ruin.
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Lundberg approximations for compound distributions with insurance applications
• Analysis of a defective renewal equation arising in ruin theory
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On the Time Value of Ruin

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